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Turk Sermaye Piyasasinda Fiyat ve Islem Hacmi Iliskisi: Zamanla Degisen Asimetrik Nedensellik Analizi

Author

Listed:
  • Veli YILANCI

    (Sakarya Universitesi, Iktisadi ve Idari Bilimler Fakultesi, Finansal Ekonometri Bolumu)

  • Seref BOZOKLU

    (Istanbul Universitesi, Iktisat Fakultesi, Iktisat Bolumu)

Abstract

Bu calisma, Turk sermaye piyasasinda hisse senedi fiyatlari ile islem hacmi arasindaki nedensellik iliskisini gunluk veriler araciligiyla 1990-2012 donemi icin arastirmaktadir. Literaturdeki onceki calismalardan farkli olarak, pozitif ve negatif soklara verilen tepkilerin farkli olabilecegi ve ayni zamanda elde edilen sonuclarin zamana bagli olarak degisebilecegi dikkate alinarak, zamanla degisen asimetrik nedensellik testi kullanilmistir. Sonuclar, islem hacminin bilesenlerinden hisse senedi fiyatlarinin bilesenlerine dogru tek yonlu bir nedensellik iliskisi oldugunu ve bu iliskinin zamana bagli olarak degistigini gostermektedir.

Suggested Citation

  • Veli YILANCI & Seref BOZOKLU, 2014. "Turk Sermaye Piyasasinda Fiyat ve Islem Hacmi Iliskisi: Zamanla Degisen Asimetrik Nedensellik Analizi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 14(2), pages 211-220.
    • Handle: RePEc:ege:journl:v:14:y:2014:i:2:p:211-220
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    Citations

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    Cited by:

    1. UÄŸur Korkut Pata & Harun Terzi, 2016. "Testing for Symmetric and Asymmetric Causality between FDI and Foreign Trade in Turkey," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 19(61), pages 47-70, September.

    More about this item

    Keywords

    Turk sermaye piyasasi; zamanla degisen asimetrik nedensellik testi; fiyat-hacim iliskisi;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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